cassiopagnoncelli / clarity

R framework for quickly and professionally R&D trading strategies.
MIT License
4 stars 3 forks source link

Kelly criterion couldn't be poorer #9

Open cassiopagnoncelli opened 6 years ago

cassiopagnoncelli commented 6 years ago

Another optimization tool should be used rather than Kelly. It should accommodate different position sizes across simulation then provide an optimal position size that would maximize equity curve.